Access Statistics for Lucio Sarno

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Country Financial Accelerator: Evidence from North America and Europe 0 0 0 166 1 1 1 626
A general randomized test for Alpha 0 1 11 11 1 5 12 12
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 414 0 3 6 788
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 0 0 0 306 5 12 13 1,125
Arbitrage in the Foreign Exchange Market: Turning on the Microscope 2 3 4 156 4 9 18 595
Arbitrage in the foreign exchange market: Turning on the microscope 0 0 0 467 15 20 23 1,790
Assessing the benefits of international portfolio diversification in bonds and stocks 0 1 2 316 2 4 5 1,314
Asset Prices and International Spillovers: An Empirical Investigation 0 0 0 54 1 1 1 206
Asset Prices, Exchange Rates and the Current Account 0 0 0 52 2 8 9 242
Asset prices, exchange rates and the current account 0 0 0 378 2 9 15 981
Asset prices, exchange rates and the current account 0 0 0 131 1 5 11 329
Business Cycles and Currency Returns 0 0 0 24 2 5 7 94
Business Cycles and Currency Returns 0 0 0 48 1 6 8 169
Carry Trades and Global FX Volatility 0 0 2 425 2 7 17 1,018
Carry Trades and Global Foreign Exchange Volatility 0 0 1 254 2 4 11 575
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 65 3 3 4 209
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 62 0 3 3 297
Caution or Activism? Monetary Policy Strategies in an Open Economy 0 0 0 56 1 2 2 211
Comparing the Accuracy of Density Forecasts from Competing Models 0 0 0 0 1 3 4 344
Currency Momentum Strategies 1 2 2 281 20 27 44 1,548
Currency Momentum Strategies 1 1 2 149 4 9 11 531
Currency Momentum Strategies 0 0 1 102 4 9 16 443
Currency Premia and Global Imbalances 0 0 2 110 4 5 14 356
Currency Risk Premia Redux 0 0 0 6 3 3 8 26
Currency Value 0 0 0 111 0 3 7 182
Currency risk premiums redux? 0 1 1 8 5 7 13 28
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 98 1 8 9 263
European Capital Flows and Regional Risk 0 0 0 0 1 1 1 383
Exchange Rate Forecasting, Order Flow and Macroeconomic Information 0 1 2 175 2 12 18 536
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability 0 0 0 261 4 6 7 627
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 0 174 5 11 14 406
Exchange Rates and Sovereign Risk 0 0 1 16 3 6 11 57
Exchange rate forecasting, order flow and macroeconomic information 0 0 1 299 1 6 9 648
Federal Funds Rate Prediction 0 0 0 207 1 1 4 1,932
Federal Funds Rate Prediction 0 0 0 482 2 9 11 6,440
Federal funds rate prediction 0 0 0 329 2 4 9 1,553
Foreign Exchange Intervention: A New Database 0 0 3 41 3 6 11 145
Foreign Exchange Risk and the Predictability of Carry Trade Returns 0 0 1 151 1 6 10 351
Foreign Exchange Volume 0 0 1 13 0 0 4 53
Foreign currency lending 0 0 0 44 1 4 6 276
Foreign exchange intervention: A new database 1 1 1 58 3 5 10 88
Foreign exchange intervention: A new database 0 0 0 5 1 1 2 17
Hot Money, Accounting Labels and the Persistence of Capital Flows to Developing Countries: An Empirical Investigation 0 0 0 0 2 2 2 593
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 635 0 3 9 1,529
How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads 0 0 0 0 3 10 12 12
How well do monetary fundamentals forecast exchange rates? 1 2 3 823 1 6 7 2,517
Information flows in foreign exchange markets: dissecting customer currency trades 0 0 1 136 3 7 10 492
Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers 0 0 0 365 2 7 8 527
Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes 0 0 0 1 2 6 8 407
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 213 2 4 4 602
Monetary Policy Rules, Asset Prices and Exchange Rates 0 0 0 238 1 3 7 649
Monetary policy and learning in an open economy 0 0 0 19 1 5 6 143
Monetary policy and learning in an open economy 0 0 0 148 1 2 2 441
New Evidence on the Forward Unbiasedness Hypothesis in the Foreign Exchange Market 0 0 0 174 2 4 6 389
Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study 0 0 0 289 1 3 5 924
Non-Linear Equilibrium Corection in US Real Money Balances, 1869-1997 0 0 0 133 0 1 2 411
Non-Standard Errors 0 0 2 44 6 12 35 458
Non-Standard Errors 0 0 1 27 4 7 27 161
Non-linear dynamics in output, real exchange rates and real money balances: Norway, 1830-2003 0 0 0 203 3 7 11 702
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 82 3 3 5 342
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 348 0 2 4 530
Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles 0 0 2 955 2 5 9 2,037
Nonlinearity in Deviations From Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 1 1 304 1 6 8 697
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 161 2 3 5 466
Nonstandard Errors 0 0 0 0 6 11 14 14
Nonstandard Errors 0 0 0 0 4 11 22 22
Nonstandard Errors 1 1 4 4 4 10 25 33
Nonstandard errors 0 0 1 12 3 7 28 63
Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work? 0 1 5 929 5 8 14 2,361
Properties of Foreign Exchange Risk Premia 0 0 2 152 1 1 6 422
Properties of Foreign Exchange Risk Premiums 0 0 0 74 5 10 11 176
Properties of Foreign Exchange Risk Premiums 0 0 1 82 0 4 6 265
Purchasing Power Parity and the Real Exchange Rate 0 0 1 1,198 5 11 18 3,813
Real Exchange Rates under the Recent Float: Unequivocal Evidence of Mean Reversion 0 0 0 0 2 4 7 855
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behaviour in the UK 0 0 0 0 1 2 4 701
Risks and Risk Premia in the US Treasury Market 0 0 0 0 0 4 5 6
Risky Bank Guarantees 0 0 0 14 0 0 1 68
Risky bank guarantees 0 0 0 22 1 2 4 53
Saving-Investment Correlations: Transitory versus Permanent 0 0 0 0 2 3 3 485
Spot and Forward Volatility in Foreign Exchange 1 2 3 579 5 9 18 1,867
The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period 0 0 1 389 0 5 7 1,341
The Dynamic Relationship Between the Federal Funds rate and the Treasury Bill Rate: An Empirical Investigation 0 0 0 564 2 2 2 3,174
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 1 1 126 4 8 11 437
The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value 0 0 0 108 2 2 5 463
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 298 7 10 15 813
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond 0 0 0 522 2 7 10 1,321
The Persistence of Capital Inflows and the Behaviour of Stock Prices in East Asia Emerging Markets: Some Empirical Evidence 1 1 1 220 2 2 3 606
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 114 3 3 7 225
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 0 43 6 6 9 179
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 246 3 4 13 631
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 63 0 3 4 225
The Scapegoat Theory of Exchange Rates: The First Tests 0 0 0 58 1 5 6 264
The Term Structure Of Euromarket Interest Rates: Some New Evidence 0 0 0 194 1 2 5 300
The cost of foreign-currency lending 0 0 0 0 1 4 4 20
The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation 0 0 0 527 2 8 12 2,143
The efficient market hypothesis and identification in structural VARs 0 0 0 253 2 6 7 891
The empirical failure of the expectations hypothesis of the term structure of bond yields 0 0 0 383 1 3 5 820
The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value 0 0 0 222 0 3 3 752
The scapegoat theory of exchange rates: the first tests 0 0 0 34 1 3 7 166
The scapegoat theory of exchange rates: the first tests 0 0 0 89 0 0 2 433
Volatility Risk Premia and Exchange Rate Predictability 0 0 1 65 5 8 14 193
What Do Stock Markets Tell Us About Exchange Rates? 0 0 0 43 0 0 2 121
What Drives International Portfolio Flows? 0 0 0 102 2 5 12 280
What do stock markets tell us about exchange rates? 0 0 3 90 2 5 13 179
What's unique about the federal funds rate? evidence from a spectral perspective 0 0 0 114 0 0 2 580
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 1 133 2 4 9 272
When is foreign exchange intervention effective? Evidence from 33 countries 0 1 3 100 6 13 22 198
Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective 0 0 0 89 3 6 9 277
Total Working Papers 9 21 78 20,058 263 591 1,017 71,351
3 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A century of equity premium predictability and the consumption-wealth ratio: An international perspective 0 1 1 93 1 4 9 320
A cross-country financial accelerator: Evidence from North America and Europe 0 0 0 96 4 6 6 261
Adjustment Costs and Nonlinear Dynamics in the Demand for Money: Italy, 1861-1991 0 0 1 88 1 3 4 314
An Economic Evaluation of Empirical Exchange Rate Models 0 0 1 128 1 1 7 306
An empirical investigation of asset price bubbles in Latin American emerging financial markets 0 0 0 186 1 3 3 525
Arbitrage in the foreign exchange market: Turning on the microscope 3 6 19 400 11 33 68 1,472
Asset prices, exchange rates and the current account 0 0 0 119 1 2 7 395
Business cycles and currency returns 0 0 2 43 1 4 13 154
CAUTION OR ACTIVISM? MONETARY POLICY STRATEGIES IN AN OPEN ECONOMY 0 0 0 32 1 3 3 160
Capital Flows to Developing Countries: Long- and Short-Term Determinants 0 0 0 4 1 4 9 1,428
Carry Trades and Global Foreign Exchange Volatility 0 2 4 212 2 8 23 649
Comparing the accuracy of density forecasts from competing models 0 0 0 87 3 6 6 276
Composantes permanente et transitoire de l'épargne et de l'investissement: une étude empirique des flux internationaux de capitaux au Japon 0 0 0 4 0 2 4 62
Currency Premia and Global Imbalances 0 1 4 101 3 8 13 404
Currency Risk Premiums Redux 1 2 3 5 4 11 18 25
Currency Value 1 1 4 81 2 6 14 267
Currency momentum strategies 0 5 14 419 15 28 63 1,385
Deviations from purchasing power parity under different exchange rate regimes: Do they revert and, if so, how? 0 0 2 190 0 5 15 471
Does the law of one price hold in international financial markets? Evidence from tick data 0 0 0 123 4 5 7 602
Empirical exchange rate models and currency risk: some evidence from density forecasts 0 0 1 128 6 8 13 296
Estimating the Mean‐reverting Component in Stock Prices: A Cross‐country comparison 0 0 0 1 0 0 0 4
European Capital Flows and Regional Risk 0 0 1 81 3 4 6 322
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? 0 0 1 211 2 3 10 553
Exchange Rates and Sovereign Risk 0 1 5 9 2 6 21 37
Exchange controls, international capital flows and saving-investment correlations in the UK: An empirical investigation 0 0 1 33 1 1 4 182
Exchange rate and interest rate volatility in the European Monetary System: some further results 0 0 0 49 1 1 6 173
Exchange rate forecasting, order flow and macroeconomic information 0 1 6 316 6 10 24 921
Exchange rates and fundamentals: evidence on the economic value of predictability 0 0 0 237 5 19 26 649
Federal Funds Rate Prediction 0 0 0 0 0 0 6 844
Foreign Exchange Intervention: A New Database 0 1 4 12 2 7 18 47
Foreign Exchange Volume 0 0 0 10 6 14 28 65
Foreign exchange risk and the predictability of carry trade returns 0 0 1 52 1 6 10 196
Global liquidity risk in the foreign exchange market 0 0 2 83 2 3 6 401
Hot money, accounting labels and the permanence of capital flows to developing countries: an empirical investigation 0 0 1 335 0 3 7 1,023
How the Subprime Crisis went global: Evidence from bank credit default swap spreads 0 1 2 147 3 5 9 522
How well do monetary fundamentals forecast exchange rates? 0 0 1 710 4 4 9 1,955
Information Flows in Foreign Exchange Markets: Dissecting Customer Currency Trades 0 0 0 16 1 2 6 141
International real interest rate differentials, purchasing power parity and the behaviour of real exchange rates: the resolution of a conundrum 0 0 0 289 2 7 10 1,095
Mean reversion in stock index futures markets: A nonlinear analysis 0 1 1 6 4 6 9 44
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 1 2 5 5 13
Modelling and forecasting stock returns: exploiting the futures market, regime shifts and international spillovers 0 0 0 232 0 3 3 721
Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes 0 0 0 158 2 5 6 551
Monetary Policy Rules, Asset Prices, and Exchange Rates 0 0 2 47 1 2 10 173
Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests 0 0 0 518 1 4 4 1,134
New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market 0 0 0 0 5 7 9 19
Nonlinear Dynamics, Spillovers and Growth in the G7 Economies: An Empirical Investigation 0 0 0 1 0 0 1 7
Nonlinear Equilibrium Correction in U.S. Real Money Balances, 1869-1997 0 0 0 1 2 3 4 291
Nonlinear Exchange Rate Models: A Selective Overview 0 0 0 25 1 2 7 150
Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles 0 0 0 2 0 5 10 814
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study 0 1 1 250 3 6 8 708
Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle 0 0 0 76 2 6 6 268
Nonstandard Errors 1 3 16 42 5 18 65 156
Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? 1 3 12 1,076 4 13 60 2,729
Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity 0 0 0 142 1 1 2 499
Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis 0 0 0 177 3 3 3 798
Properties of foreign exchange risk premiums 0 0 0 92 0 1 5 300
Purchasing Power Parity and the Real Exchange Rate 1 1 11 1,993 9 19 46 4,773
Real Exchange Rate Dynamics in Transition Economies: A Nonlinear Analysis 0 0 1 290 0 3 6 770
Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K 0 0 1 112 2 3 7 280
Real exchange rate behavior in the Middle East: a re-examination 0 0 0 62 1 1 5 256
Real exchange rate behaviour in high inflation countries: empirical evidence from Turkey, 1980-1997 1 1 1 150 1 1 3 397
Real exchange rates under the recent float: unequivocal evidence of mean reversion 0 0 0 120 4 6 9 367
Risks and risk premia in the US Treasury market 0 0 0 5 2 4 11 21
Risky bank guarantees 0 0 1 19 3 5 10 82
Savings-Investment Correlations: Transitory versus Permanent 0 0 0 0 2 2 3 403
Short‐ and long‐run price level uncertainty under different monetary policy regimes: an international comparison 0 0 1 3 0 1 3 11
Special issue on advances in international money, macro and finance 0 0 0 44 3 5 7 144
Speculative Bubbles in U.K. House Prices: Some New Evidence 0 0 0 4 0 2 8 18
Spot and forward volatility in foreign exchange 0 0 3 145 1 5 14 529
Stochastic growth: Empirical evidence from the G7 countries 0 0 1 11 1 3 9 148
Systematic sampling and real exchange rates 0 0 0 24 2 3 4 92
The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields 0 0 0 66 24 29 31 298
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 58 1 6 7 200
The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor? 0 0 0 1 0 2 4 21
The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth? 0 0 1 116 0 0 6 381
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates 0 0 0 160 1 4 5 527
The behavior of US public debt: a nonlinear perspective 0 0 0 127 3 5 5 371
The behavior of real exchange rates during the post-Bretton Woods period 1 2 4 416 2 12 22 1,143
The cost of carry model and regime shifts in stock index futures markets: An empirical investigation 0 0 1 13 1 4 6 58
The cost of foreign-currency lending 1 1 1 9 3 5 14 52
The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation 0 0 0 284 2 3 7 1,124
The economic value of predicting bond risk premia 0 0 1 38 2 4 11 130
The efficient market hypothesis and identification in structural VARs 0 0 1 163 1 2 12 902
The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value 0 1 1 202 3 9 11 708
The market for lemmings: The herding behavior of pension funds 0 1 2 34 0 2 4 137
The out-of-sample success of term structure models as exchange rate predictors: a step beyond 0 0 1 336 2 6 11 935
The scapegoat theory of exchange rates: the first tests 0 0 2 90 0 2 8 341
The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence 0 0 0 8 2 3 4 31
The trade imbalance network and currency returns 0 4 6 6 3 24 33 33
Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers 0 0 0 9 1 4 6 37
Timing exchange rates using order flow: The case of the Loonie 0 0 0 36 1 4 7 155
Toward a new paradigm in open economy modeling: where do we stand? 1 1 1 27 4 7 9 100
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 1 2 388 1 9 18 797
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand? 0 0 0 5 2 5 9 31
Volatility risk premia and exchange rate predictability 0 1 3 121 0 6 22 416
What Do Stock Markets Tell Us about Exchange Rates? 0 0 3 33 0 3 12 137
What drives international portfolio flows? 1 1 3 70 6 9 16 217
What's Unique About the Federal Funds Rate? Evidence from a Spectral Perspective* 0 0 0 30 1 2 3 177
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 1 7 129 1 5 20 528
When Is Foreign Exchange Intervention Effective? Evidence from 33 Countries 0 0 3 8 2 9 13 28
Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective 0 0 0 60 1 2 8 176
Total Journal Articles 13 46 176 14,001 240 585 1,217 46,759
1 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Economics of Exchange Rates 0 0 0 0 9 14 41 785
Total Books 0 0 0 0 9 14 41 785

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003 0 0 0 0 0 1 3 3
Total Chapters 0 0 0 0 0 1 3 3

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Statistics updated 2026-01-09